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The stochastic volatility in mean model: empirical evidence from international stock markets
Koopman, Siem Jan; Hol Uspensky, Eugenie - In: Journal of applied econometrics 17 (2002) 6, pp. 667-690
Persistent link: https://www.econbiz.de/10006970937
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Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie - In: Journal of empirical finance 12 (2005) 3, pp. 445-475
Persistent link: https://www.econbiz.de/10007781568
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Exact Initial Kalman Eiltering anB Smoothing for Nonstationary Time Senes Models
Koopman, Siem Jan - In: Journal of the American Statistical Association : JASA 92 (1997) 440, pp. 1630-1638
Persistent link: https://www.econbiz.de/10006629766
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Forecasting Hourly Electricity Demand Using Time-Varying Splines
Harvey, Andrew; Koopman, Siem Jan - In: Journal of the American Statistical Association : JASA 88 (1993) 424, pp. 1228-1236
Persistent link: https://www.econbiz.de/10006638773
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Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb; Koopman, Siem Jan - In: Journal of econometrics 87 (1998) 2, pp. 271-302
Persistent link: https://www.econbiz.de/10006788102
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State Space Models With a Common Stochastic Variance
Koopman, Siem Jan; Bos, Charles S. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 3, pp. 346-357
Persistent link: https://www.econbiz.de/10008214557
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The Modeling and Seasonal Adjustment of Weekly Observations
Harvey, Andrew; Koopman, Siem Jan; Riani, Marco - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 3, pp. 354-368
Persistent link: https://www.econbiz.de/10008219981
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Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 2, pp. 213-225
Persistent link: https://www.econbiz.de/10008221857
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Tracking the Business Cycle of the Euro Area: A Multivariate Model-Based Bandpass Filter
Azevedo, Joao Valle e.; Koopman, Siem Jan; Rua, Antonio - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 3, pp. 278-290
Persistent link: https://www.econbiz.de/10008222502
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Empirical credit cycles and capital buffer formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - In: Journal of banking & finance 29 (2005) 12, pp. 3159-3180
Persistent link: https://www.econbiz.de/10005879740